Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 23 (1D) Dec 24 (2D) Dec 25 (3D) Dec 26 (4D) Dec 29 (7D) Dec 30 (8D) Dec 31 (9D) Jan 01 (10D) Jan 02 (11D) Jan 05 (14D) Jan 09 (18D) Jan 16 (25D) Jan 23 (32D) Jan 30 (39D) Feb 06 (46D) Feb 13 (53D) Feb 20 (60D) Feb 27 (67D) Mar 06 (74D) Mar 13 (81D) Mar 20 (88D) Mar 27 (95D)
lower 679.942 677.851 676.246 674.894 671.634 670.711 669.845 669.026 668.247 666.101 663.572 659.749 656.433 653.464 650.751 648.238 645.886 643.668 641.563 639.556 637.633 635.786
upper 690.038 692.129 693.734 695.086 698.346 699.269 700.135 700.954 701.733 703.879 706.408 710.231 713.547 716.516 719.229 721.742 724.094 726.312 728.417 730.424 732.347 734.194
expected move 5.048 7.139 8.744 10.096 13.356 14.279 15.145 15.964 16.743 18.889 21.418 25.241 28.557 31.526 34.239 36.752 39.104 41.322 43.427 45.434 47.357 49.204
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
LinkedIn Connect with me on LinkedIn